I am running CFA model after getting Factor structure for EFA. I am doing step by step follows the handout. My concern is about direct effects between covariates and indicators in MIMIC. How could I test which direct effects would work in my CFA model with covariates?

Thanks for your reply. But after get the result, how to decide how many direct effects need to be include? Do we have any criteria to be reference? Also, would you please let me know the reason to do this way?

You want to include direct effects that are statistically significant, substantively significant, and are interpretable. If you don't include such direct effects your model is misspecified and its estimates distorted.